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The transmission of German monetary policy in the pre-Euro period
Lütkepohl, Helmut; Wolters, Jürgen - 2001
A small macroeconomic model is constructed to study the transmission of the monetary policy conducted by the Deutsche Bundesbank (DBB) since the middle of the 1970s. For this purpose quarterly, seasonally unadjusted data for the period from 1975 to 1998 are used, that is, the period until the...
Persistent link: https://www.econbiz.de/10011400913
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Fundamental Problems with Nonfundamental Shocks
Lütkepohl, Helmut - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012
Economic agents using information that is not incorporated in the econometric model is seen as a possible reason for why nonfundamental shocks are important in econometric models. Allowing for nonfundamental shocks in structural vector autoregressive (SVAR) analysis by considering moving average...
Persistent link: https://www.econbiz.de/10011128877
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The transmission of German monetary policy in the pre-Euro period
Lütkepohl, Helmut; Wolters, Jürgen - Sonderforschungsbereich 373, Quantifikation und … - 2001
A small macroeconomic model is constructed to study the transmission of the monetary policy conducted by the Deutsche Bundesbank (DBB) since the middle of the 1970s. For this purpose quarterly, seasonally unadjusted data for the period from 1975 to 1998 are used, that is, the period until the...
Persistent link: https://www.econbiz.de/10010983578
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Testing for causality with Wald tests under nonregular conditions
Burda, Maike M. - 2001
kausale Beziehungen zwischen zwei Variablen in vektorautoregressiven (VAR) Modellen zu untersuchen. Wenn das VAR Modell mehr … letztgenannten Konzepte aufgefasst werden kann. Wenn Kausalitaet an Prognosehorizonten groesser als eins gemessen wird und das VAR … Variable sei, nichtlineare Restriktionen auf die VAR Koeffizienten. (In nichtstationaeren VAR Modellen treten nichtlineare …
Persistent link: https://www.econbiz.de/10009467094
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Fundamental problems with nonfundamental shocks
Lütkepohl, Helmut - 2012
Economic agents using information that is not incorporated in the econometric model is seen as a possible reason for why nonfundamental shocks are important in econometric models. Allowing for nonfundamental shocks in structural vector autoregressive (SVAR) analysis by considering moving average...
Persistent link: https://www.econbiz.de/10010287244
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The transmission of German monetary policy in the pre-Euro period
Lütkepohl, Helmut; Wolters, Jürgen - 2001
A small macroeconomic model is constructed to study the transmission of the monetary policy conducted by the Deutsche Bundesbank (DBB) since the middle of the 1970s. For this purpose quarterly, seasonally unadjusted data for the period from 1975 to 1998 are used, that is, the period until the...
Persistent link: https://www.econbiz.de/10010310406
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Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR … for checking long-run identifying restrictions in structural VAR analysis is illustrated by reconsidering models for …
Persistent link: https://www.econbiz.de/10010249640
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Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR … for checking long-run identifying restrictions in structural VAR analysis is illustrated by reconsidering models for …
Persistent link: https://www.econbiz.de/10010734525
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Identifying Structural Vector Autoregressions via Changes in Volatility
Lütkepohl, Helmut - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012
Identification of shocks of interest is a central problem in structural vector autoregressive (SVAR) modelling. Identification is often achieved by imposing restrictions on the impact or long-run effects of shocks or by considering sign restrictions for the impulse responses. In a number of...
Persistent link: https://www.econbiz.de/10011128872
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Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs
Lütkepohl, Helmut; Netsunajev, Aleksei - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012
Given the growing dissatisfaction with exclusion and long-run restrictions in structural vector autoregressive analysis, sign restrictions are becoming increasingly popular. So far there are no techniques for validating the shocks identified via such restrictions. Although in an ideal setting...
Persistent link: https://www.econbiz.de/10009652507